Title :
A tax-adjusted algorithm for pricing derivative securities using the symbolic computational language MAPLE
Author :
Milevsky, M.A. ; Prisman, E.Z.
Author_Institution :
York Univ., Canada
Abstract :
This paper develops a symbolic computational pricing algorithm that locates the No-Arbitrage price of a contingent claim (derivative security) in a world with realistic income taxes. By maintaining the price of the contingent claim as a symbolic function, we can use the concept of a fixed-point theorem to locate the price of the option that will make it impossible to create after-tax arbitrage opportunities
Keywords :
costing; financial data processing; mathematics computing; securities trading; symbol manipulation; tax preparation; MAPLE; No-Arbitrage price; after-tax arbitrage; contingent claim; derivative securities; fixed-point theorem; income tax; symbolic computational language; symbolic computational pricing algorithm; symbolic function; tax-adjusted algorithm; Costs; Finance; Iterative methods; Pricing; Security; Tail;
Conference_Titel :
Computational Intelligence for Financial Engineering (CIFEr), 1997., Proceedings of the IEEE/IAFE 1997
Conference_Location :
New York City, NY
Print_ISBN :
0-7803-4133-3
DOI :
10.1109/CIFER.1997.618929
